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Volume 12, Issue 12

Quantitative Finance

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Quantitative Finance, Volume 12, Issue 12 (2012)

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Quantitative Finance, Volume 12, Issue 12 (2012)

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Vol 24, 2024 Vol 23, 2023 Vol 22, 2022 Vol 21, 2021 Vol 20, 2020 Vol 19, 2019 Vol 18, 2018 Vol 17, 2017 Vol 16, 2016 Vol 15, 2015 Vol 14, 2014 Vol 13, 2013 Volume 12, 2012 Vol 11, 2011 Vol 10, 2010 Vol 9, 2009 Vol 8, 2008 Vol 7, 2007 Vol 6, 2006 Vol 5, 2005 Vol 4, 2004 Vol 3, 2003 Vol 2, 2002 Vol 1, 2001

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Commodities

Features

Article

Inconvenience yield, or the theory of normal contango

Ilia Bouchouev

Pages: 1773-1777

Published online: 11 Dec 2012

First Page PreviewforInconvenience yield, or the theory of normal contango | Full Text | References | PDF (788.5 KB)

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Article

Long–short versus long-only commodity funds

John M. Mulvey

Pages: 1779-1785

Published online: 11 Dec 2012

First Page PreviewforLong–short versus long-only commodity funds | Full Text | References | PDF (2.9 MB)

262 Views
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Book Review

The Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin

Lloyd Kurtz

Pages: 1787-1789

Published online: 11 Oct 2012

First Page PreviewforThe Quest: Energy, Security, and the Remaking of the Modern World, by Daniel Yergin | Full Text | References | PDF (324.1 KB)

537 Views
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Free Access

Calendar

Page: 1791

Published online: 11 Dec 2012

CitationforCalendar | PDF (497.3 KB)

29 Views
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Foreword

Introduction

Special Issue of Quantitative Finance on ‘Commodities’

M. A. H. Dempster & Ke Tang

Page: 1793

Published online: 11 Dec 2012

CitationforSpecial Issue of Quantitative Finance on ‘Commodities’ | Full Text | PDF (58.7 KB)

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Research Papers

Article

Determinants of oil futures prices and convenience yields

M. A. H. Dempster, Elena Medova & Ke Tang

Pages: 1795-1809

Published online: 06 Jul 2012

AbstractforDeterminants of oil futures prices and convenience yields | Full Text | References | PDF (374.2 KB)

683 Views
26 CrossRef citations
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Article

Pricing and hedging of long-term futures and forward contracts by a three-factor model

Kenichiro Shiraya & Akihiko Takahashi

Pages: 1811-1826

Published online: 24 Mar 2010

AbstractforPricing and hedging of long-term futures and forward contracts by a three-factor model | Full Text | References | PDF (358.1 KB)

440 Views
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Article

An empirical study of the impact of skewness and kurtosis on hedging decisions

Jing-Yi Lai

Pages: 1827-1837

Published online: 03 Aug 2012

AbstractforAn empirical study of the impact of skewness and kurtosis on hedging decisions | Full Text | References | PDF (147.6 KB)

452 Views
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Article

Analyzing the dynamics of the refining margin: implications for valuation and hedging

Andrés García Mirantes, Javier Población & Gregorio Serna

Pages: 1839-1855

Published online: 14 Aug 2012

AbstractforAnalyzing the dynamics of the refining margin: implications for valuation and hedging | Full Text | References | PDF (180.5 KB)

262 Views
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Article

Quantitative spread trading on crude oil and refined products markets

Mark Cummins & Andrea Bucca

Pages: 1857-1875

Published online: 13 Sep 2012

AbstractforQuantitative spread trading on crude oil and refined products markets | Full Text | References | PDF (260.1 KB)

1550 Views
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Article

Inversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market

Yijun Du, Chen Wang & Yibing Du

Pages: 1877-1891

Published online: 10 Aug 2011

AbstractforInversion of option prices for implied risk-neutral probability density functions: general theory and its applications to the natural gas market | Full Text | References | PDF (770.4 KB)

312 Views
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Article

Time-frequency analysis of crude oil and S&P500 futures contracts

Joseph McCarthy & Alexei G. Orlov

Pages: 1893-1908

Published online: 14 Jun 2012

AbstractforTime-frequency analysis of crude oil and S&P500 futures contracts | Full Text | References | PDF (3.2 MB)

500 Views
34 CrossRef citations
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Article

Short-horizon return predictability and oil prices

Jaime Casassus & Freddy Higuera

Pages: 1909-1934

Published online: 11 Dec 2012

AbstractforShort-horizon return predictability and oil prices | Full Text | References | PDF (1 MB)

364 Views
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Article

Modeling the distribution of day-ahead electricity returns: a comparison

Sandro Sapio

Pages: 1935-1949

Published online: 23 Nov 2010

AbstractforModeling the distribution of day-ahead electricity returns: a comparison | Full Text | References | PDF (282.9 KB)

256 Views
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Article

The valuation of clean spread options: linking electricity, emissions and fuels

René Carmona, Michael Coulon & Daniel Schwarz

Pages: 1951-1965

Published online: 11 Dec 2012

AbstractforThe valuation of clean spread options: linking electricity, emissions and fuels | Full Text | References | PDF (334.7 KB)

341 Views
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Editorial Board

Page: ebi

Published online: 11 Dec 2012

CitationforEditorial Board | Full Text | PDF (37 KB)

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Quantitative Finance (Vol.12, Iss.12, 2012)

Commodities

Commodities

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